Browsing by Subject "AR processes"
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Article
Asymptotic efficiency of the order selection of a nongaussian AR process
(1997)Motivated by Shibata's (1980) asymptotic efficiency results for the order selected for a zero mean Gaussian AR process this paper establishes the asymptotic efficiency of AIC-like model selection criteria for infinite order ...
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Article
LASSO order selection for sparse autoregression: a bootstrap approach
(2017)Autoregressive models are widely employed for predictions and other inferences in many scientific fields. While the determination of their order is in general a difficult and critical step, this task becomes more complicated ...